Greetings from Social Media Feeds by tagembed
First, need to know from which channel you are looking to embed videos like Youtube, Vimeo, etc.
If you are looking to embed from youtube or Vimeo. You may go for Social Media Feeds [ https://apps.shopify.com/tagembed-widget ] App.
A simple process to embed feeds on the blog, simply add the app, connect your account and embed widget on your website
If you don't want to use app, you need to know a bit of coding.
Here's an example that when you clicking on image, the youtube video iframe will showing.
If you not familiar with the code, hire a developer to do that for you or find some app that suit your requirement.